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Road Kill

In this article Edward Talisse discusses his time working around the world in market trading. He gives his views on the current state of the global financial markets and what lies ahead for the future.

Edward Talisse
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Rootless Vol

Kent Osband discusses the Brownian motion in this Wilmott article.

Kent Osband
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Scenarios IV: Planning for Disasters and then Dealing with them

In the aftermath of Katrina, Bill Ziemba discusses planning for the economic and financial effects of natural disasters.

Bill Ziemba
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Sell in May and Go Away in the Equity Index Futures Markets

Constantine Dzhabarov and William T. Ziemba explain when the best time is to sell in the index futures markets.

Constantine Dzhabarov and William T. Ziemba
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Sensible Sensitivities for the SABR Model

In this article published by the Wilmott magazine, Chibane, Miao and Xu develop a new methodology for computing smile sensitivities (Vegas) for European securities priced under the SABR model when the latter is calibrated to more market volatilities than the number of available model parameters.

Messaoud Chibane, Hong Miao, and Chenghai Xu
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Sequential Modeling of Dependent Jump Processes

In this article published by WIlmott magazine, Mai, Scherer, and Schulz present a new methodology to generalize univariate models to the multivariate case.

Jan-Frederik Mai, Matthias Scherer, and Thorsten Schulz
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Shiny New Toys: Does Wealth Management Need A.I.?

In this article, Greg Davies examines the allure of adopting artificial intelligence as a solution for a range of business problems in Wealth Management and the need to appropriately match solutions to problems.

Greg Davies
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Six Degrees of Idiocy

One of the classic works of poker, and risk management, is Herbert Yardley’s 1957 best-seller 'The Education of a Poker Player, Including Where and How One Learns to Win'. Aaron Brown explores how in both poker and finance an individual’s strategic idiocy can be quantified and analyzed.

Aaron Brown
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Software Frameworks in Quantitative Finance, Part I Fundamental Principles and Applications to Monte Carlo Methods

In this Wilmott article, Daniel J. Duffy and Joerg Kienitz discuss a number of ongoing efforts when developing customizable software systems and frameworks for problems in Quantitative Finance.

Daniel J. Duffy and Joerg Kienitz
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Solving partial differential equations using the NAG Library

In this article, Jeremy Walton from the Numerical Algorithms Group, describes some applications of the NAG Library to the solution of Partial Differential Equations (PDEs).

Jeremy Walton